Peaks, Gaps, and Time Reversibility of Economic Time Series

No 492, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: Locating the running maxima and minima of a time series, and measuring the current deviation from them, generates processes that are analytically relevant for the analysis of the business cycle and for characterizing bull and bear phases in financial markets. The measurement of the time distance from the running peak originates a first order Markov chain, whose characteristics can be used for testing time reversibility of economic dynamics and specific types of asymmetries in financial markets. The paper derives the time series properties of the gap process and other related processes that arise from the same measurement context, and proposes new nonparametric tests of time reversibility. Empirical examples illustrate their uses for characterizing the depth of a recession and the duration of bull and a bear market.

Keywords: Markov chains; Business cycles; Recession duration. (search for similar items in EconPapers)
JEL-codes: C22 C58 E32 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2020-06-17, Revised 2020-06-17
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-mac and nep-ore
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ceistorvergata.it/RePEc/rpaper/RP492.pdf Main text (application/pdf)

Related works:
Journal Article: Peaks, gaps, and time‐reversibility of economic time series (2023)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rtv:ceisrp:492

Ordering information: This working paper can be ordered from
CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
https://ceistorvergata.it

Access Statistics for this paper

More papers in CEIS Research Paper from Tor Vergata University, CEIS CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma. Contact information at EDIRC.
Bibliographic data for series maintained by Barbara Piazzi ().